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What Drives Natural Gas Prices? - A Structural VAR Approach

  • Nick, Sebastian


    (Energiewirtschaftliches Institut an der Universitaet zu Koeln)

  • Thoenes, Stefan


    (Energiewirtschaftliches Institut an der Universitaet zu Koeln)

In this study, we develop a structural vector autoregressive model (VAR) for the German natural gas market. Our setup allows us to analyze the determinants of the natural gas price in a comprehensive framework. In particular, we illustrate the usefulness of our approach by disentangling the effects of different fundamental influences on gas prices during three recent supply interruptions: The Russian-Ukrainian gas dispute of January 2009, the Libyan civil war in 2011 and the withheld Russian exports in February 2012. Our results show that the natural gas price is affected by temperature, storage and supply shortfalls in the short term, while the long-term development is closely tied to both crude oil and coal prices, capturing the economic climate and the energy specific demand.

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Paper provided by Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI) in its series EWI Working Papers with number 2013-2.

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Length: 33 pages
Date of creation: 13 Feb 2013
Date of revision:
Handle: RePEc:ris:ewikln:2013_002
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